Introducing Mature Speculators' Stock Index Futures Hedging Effect

This paper extends the Hedging Pressure Theory and makes a test in the S&P500index futures market.Unlike previous study that tends to simplify or neglect the role of speculator,I use Song(2009)’s model to redefine the role of speculator as a sophisticated participant,instead of naive one,and under this assumption,show that the ’eagerness to participate of Speculator’influence the cost of Hedger(Risk Premium) and henceforth the pricing of futures contracts.In empirical testing,I explain how to get a proxy for the’eagerness to participate of speculator’s with the Non-commercial position figures of CFTC’s COT data,based on previous study on the characteristic and information content of this data.Empirical results support Hedging Pressure Theory of Keynes and this paper’s hypothesis that’sophisticated’ speculators’ eagerness to participate affects risk premium. So this paper makes a contribution by redefining the role of speculator in the Hedging Pressure framework,proving this hypothesis,and combining the "Superior Information of Speculator" by previous studies and the Hedging Pressure Theory. I also explore the possible implications of this study to the HS300index futures market in China.